But he said he would not be joining his fitness-fanatic leader Tony Abbott on pre-dawn exercise missions.

''I'm still Joe Hockey but I'm exercising every day, my diet has changed dramatically. I feel pretty good for it but I'm not going to become a pin-up boy for Jenny Craig or anyone else,'' Mr Hockey told The Australian Financial Review.

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Liberal frontbencher Bruce Billson says his colleague is setting an example for the Coalition.

''In terms of recognising the federal government needs some belt-tightening, Joe's leading in a very practical way,'' he told Sky News.

Labor backbencher Nick Champion said he did not believe Mr Hockey was doing it for his political image.

''He probably did it for the reason most of us do it and that's to have good health and a long life.